【作者】 陈国武；

【导师】 王建琼；

【作者基本信息】 西南交通大学 ， 技术经济及其管理， 2004， 硕士

【摘要】 本文首先介绍和回顾VAR的历史沿革和研究现状，针对我国证券市场的实际情况导出了问题，从而确定了本文的研究内容。文中第二章探讨了风险的种类及其预测模型。第三章是本文的重点，文中结合我国证券市场的历史数据对相关模型进行了验证。论文后面部分以VAR的几种典型算法为主线，结合我国证券市场的实际情况重点研究和分析了以下几个问题： 第一，探讨了指数的风险。针对上证综合指数，用历史模拟法和参数法(方差—些方差法)分别计算了上证综合指数的VAR值，与实际情况的比较结果显示效果较好。并且对于两种方法的计算结果进行了比较，误差不大，都在可以接受的范围内。指数风险的控制主要是针对证券监管部门和大的金融机构提出来的。 第二，分析了单只股票的VAR风险。以武钢股份(600005)的VAR的计算作为一个例子说明了单只股票风险控制的方法及其计算过程。这个方面的分析主要是针对中小散户而提出的。在计算过程中也是分别使用了历史模拟法和参数法(方差—协方差法)。 第三，论述了投资组合的VAR。利用我国证券市场的历史数据进行了实证分析。以基金同智作为例子计算了投资组合的VAR。 在上述几个问题的基础之上提出了VAR在我国的适应性及其对于单只股票风险控制不太实用的原因分析。 文章在最后给出了全文的研究结论，并对我国证券市场进行了展望。更多还原

【Abstract】 This text introduces and lookback first the history origin and the present condition, aim at the actual circumstance of the stock market of our country to put forward question, and make sure the textual research contents.The following inquirying a category of risk and its estimate models.The third chapter is the emphasis for this text to introduce and discuss. In the chapter the author combine the history data of the stock market of our country to proceed the verification about the related theory models. At the behind part of the thesis regarding several typical models method that VAR compute as the main line and joining together the actual circumstance of the stock market of our country to make a point research and analysis about the following problems:The first, inquiring into the risk of the index number. Regarding the Shanghai Composite index number as the sample, respectively computing its VAR with imitating method and parameter method( std?the amount std memod).comparing with the theory value , the actual result did not beyond the reach of the theories’. And comparing the calculation result of two kinds of methods , error margin is not very all within the scope of acceptable.The control of the index number risk primarily is put forward for stock supervisor and big finance institution.The second, analyzing the risk of Var of single stock.Regarding WuGang share(600005) as a example to explain the calculation method and calculation processes of the stock risk control of single stock with VAR. The analysis of this part primarily is to arm at the small stock investor.During the calculation processe the author respectively use history imitate method and parameter method.The third, discussing the calculation method and the process of VAR of the portfolio and making use of the history data of our country stock market to make the evidence analysis.using Fund TongZhi as a example to calculate the VAR of the portfolio.In above the foundation of a few problems putting forward the adaptability for VAR in our country and its reason why risk control is not adaptability for single stock.Article finally work out the simple conclusion and have prospects for the stock market of our country.更多还原